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Auteur

Bouchard, Bruno

Type

Article accepté pour publication ou publié

Résumé en anglais

We introduce a new class of control problems in which the gain depends on the solu-
tion of a stochastic diﬀerential equation (SDE) reﬂected at the boundary of a bounded domain, along
directions which are controlled by a bounded variation process. We provide a PDE characterization
of the associated value function. This study is motivated by applications in mathematical ﬁnance,
where such equations are related to the pricing of barrier options under portfolio constraints.